Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com
Index Methodology
The Arabesque Systematic Index (USD) is an index of Arabesque Asset Management Ltd. and is calculated by Solactive AG (“Index Administrator” and “Index Calculator”). Arabesque follows a quantitative investment approach that integrates sustainability data with financial analysis.
Arabesque Systematic Index is a balanced global equity strategy that combines sustainability values with a fundamental and quantitative stock selection process. The Index's sustainable equity universe consists of around 3,000 stocks that have passed a rules-based screening process. The portfolio of ca. 200 stocks is constructed using a quantitative trend following model. The Index provides risk-controlled equity upside by dynamically allocating into stocks from the sustainable equity universe and cash. The Index aims to limit maximum drawdowns to less than 25%.
Performance (net of fees, data contains historical backtest performance)
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50 2005 2007 2009 2011 2013 2015 2017 2019 MSCI All Country World Index - Net Return Systematic (USD) - Net Total Return
Versions and Symbols Annual Performance (%) (net of fees, data contains historical backtest performance)
Arabesque Systematic ISIN Bloomberg 40 USD - Net Total Return DE000SLA1YZ8 AISYG1US Index 30
20
Quick Facts 10
Index Launch 19. April 2016 0 Index Calculator Solactive AG
Index Base Date 31. December 2004 10 Index Base Value 100
Index Sponsor Arabesque Asset Management Ltd. 20 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
MSCI All Country World Index - Net Return Systematic (USD) - Net Total Return
Performance Statistics (net of fees, data contains historical backtest performance)
Period 1 Month 3 Month 6 Month 12 Month YTD 3 years 5 years Since Base Date Systematic (USD) - Net Total Return -7.14% -4.90% -2.14% 1.96% -6.74% 19.78% 33.05% 332.12% MSCI All Country World Index - Net Return -8.08% -5.89% 1.13% 3.89% -8.95% 22.37% 30.98% 145.88%
Risk Indicators (net of fees, data contains historical backtest performance) Max. Max. Return Volatility Sharpe Information Max. Beta Correlation Drawdown Drawdown (p.a.) (p.a.) Ratio Ratio Drawdown Start Date End Date
Systematic (USD) - Net Total Return 10.13% 11.29% 0.61 0.74 0.82 0.46 -25.21% Oct 2007 Dec 2009 MSCI All Country World Index - Net Return 6.11% 15.21% 0.28 -58.39% Oct 2007 May 2013
XOT-A-IF-4xi-IFS-I1-00-00 Please note that the charts and the performance and risk figures above may be partly comprised of historical performance based on a backtest. The launch of the Index was on 23 March 2016. Performance as of 28 February 2020. arabesque Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com
Selection Process Top-10-Holdings % of Total Assets, as of 28/02/2020
● The Arabesque sustainable equity universe has approximately MICROSOFT CORP 1.04% CADENCE DESIGN SYSTEMS 1.02% 3,000 stocks screened via a multi-stage selection process based CHUGAI PHARMACEUTICAL CO 1.03% HCA HEALTHCARE INC 1.02%
on Arabesque S-Ray®. VISA INC-CLASS A SHARES 1.03% HOYA CORP ORD 1.02% ● Arabesque S-Ray® is designed to streamline vast amounts of SYNOPSYS INC 1.03% TECH DATA CORP 1.02% ESG data, and can be used in three unique ways to evaluate companies: (1) GC Score: an assessment of each company ESTEE LAUDER COMPANIES 1.03% ANSYS INC 1.01% based on the normative principles of the United Nations Global Compact. (2) ESG Score: a sector specific analysis of each Market Capitalization % of Total Equities company’s performance on material ESG issues. (3) Preferences Filter: an optional process to examine business involvements Large Cap (> $15bn) 43.5%
against individual investor values. Mid Cap ($2.5bn – $15bn ) 36.6% ● From the Arabesque sustainable equity universe, a quantitative Small Cap (< $2.5bn) 19.9% investment model selects equities that have been trending upwards. The weight of each stock in the portfolio is approximately 1%. An active risk management process is used Country Allocation Based on Exchange Country, % of Total Equities to dynamically allocate between equities and cash. United States 56.4% Canada 2.2%
Japan 13.3% Switzerland 2.0%
Sweden 2.8% Australia 1.2%
Opportunities Germany 2.5% Hong Kong 1.1%
Netherlands 2.3% Italy 1.0% ● Potential of high risk-adjusted returns. ● Exposure to stocks that have been screened for their environmental and social impact as well as their governance Sectors % of Total Equities practices. 20.0% Technology Services 10.9% 11.9% Health Technology 10.0% 9.6% Finance 21.7% Utilities 9.2% Risks 3.4% 7.6% Retail Trade 5.6% ● Exposure to market-related price fluctuations and losses. Producer Manufacturing 6.1% ● Exchange rate risks in the equity and cash holdings. 4.2% ● The value of the strategy shares may fall below the price at 5.5% Electronic Technology 8.9% which the investor acquired the shares. 3.7% Commercial Services 1.3% 3.1% Health Services 1.4% 2.7% About Arabesque Consumer Non-Durables 7.8% Consumer Durables 2.4% ● Arabesque was founded in June 2013 and is authorised and 2.6% 1.5% regulated by the Financial Conduct Authority (FCA), the Consumer Services 3.9% Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) and the Non-Energy Minerals 1.2% Securities and Exchange Commission (SEC). 1.9% 1.1% ● The majority of Arabesque is owned by its founders and Distribution Services 0.8% employees. 0.9% Process Industries 2.6% ● Arabesque Management and Advisory Boards are composed Transportation 0.9% of global leaders in the field of sustainable investing and 2.4% quantitative finance. 0.3% Industrial Services 1.8% ● By combining sophisticated and systematic investment Communications 0.1% processes with values of the UN Global Compact and the 4.0% 0.0% Principles of Responsible Investment (PRI), Arabesque aims to Energy Minerals 4.8% make sustainable investing financially attractive. 0.0% Miscellaneous 0.0%
Index Global Universe
XOT-A-IF-4xi-IFS-I1-00-00 arabesque Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com ISIN Name Currency Weight 1 US8782371061 TECH DATA CORP USD 1.13%
2 NL0000334118 ASM INTERNATIONAL NV EUR 1.02%
3 IT0003153415 SNAM SPA EUR 1.02%
4 JP3519400000 CHUGAI PHARMACEUTICAL CO LTD ORD JPY 1.01%
5 JP3104890003 TIS INC JPY 1.01%
6 US65339F1012 NEXTERA ENERGY INC USD 1.01%
7 JP3910660004 TOKIO MARINE HOLDINGS INC JPY 1.01%
8 SE0011166610 ATLAS COPCO AB CLASS A SEK 1.00%
9 US92826C8394 VISA INC-CLASS A SHARES USD 1.00%
10 US94946T1060 WELLCARE HEALTH PLANS USD 1.00%
11 US0495601058 ATMOS ENERGY CORP USD 1.00%
12 US0010551028 AFLAC INC USD 1.00%
13 US0298991011 AMERICAN STATES WATER CO USD 1.00%
14 US5184391044 ESTEE LAUDER COMPANIES INC USD 1.00%
15 US9100471096 UNITED AIRLINES HOLDINGS INC USD 1.00%
16 US03662Q1058 ANSYS INC USD 1.00%
17 CA12532H1047 CGI INC - CLASS A CAD 1.00%
18 US0530151036 AUTOMATIC DATA PROCESSING USD 1.00%
19 US7458671010 PULTE GROUP INC USD 1.00%
20 US92939U1060 WEC ENERGY GROUP INC USD 1.00%
21 US0718131099 BAXTER INTL. USD 1.00%
22 BMG0450A1053 ARCH CAPITAL GROUP LTD USD 1.00%
23 US16359R1032 CHEMED CORP USD 1.00%
24 US87612E1064 TARGET CORP USD 1.00%
25 US48666K1097 KB HOME USD 1.00%
26 US1273871087 CADENCE DESIGN SYSTEMS INC USD 0.99%
27 JP3837800006 HOYA CORP ORD JPY 0.99%
28 US12514G1085 CDW CORP/DE USD 0.99%
29 US4511071064 IDACORP INC USD 0.99%
30 BMG4388N1065 HELEN OF TROY LTD USD 0.99%
31 US6558441084 NORFOLK SOUTHERN CORP USD 0.99%
32 US1729081059 CINTAS CORP USD 0.99%
33 US5500211090 LULULEMON ATHLETICA INC USD 0.99%
34 US7502361014 RADIAN GROUP INC USD 0.99%
35 US1475281036 CASEYS GENERAL STORES INC USD 0.99%
36 US9699041011 WILLIAMS-SONOMA INC USD 0.99%
37 US5367971034 LITHIA MOTORS INC-CL A USD 0.98%
38 BMG3198U1027 ESSENT GROUP LTD USD 0.98%
39 JP3778630008 BANDAI NAMCO HOLDINGS INC JPY 0.98%
40 JP3256000005 KYOWA KIRIN CO LTD JPY 0.98%
41 US8636671013 STRYKER CORP USD 0.97%
42 US3021301094 EXPEDITORS INTL WASH INC USD 0.93%
43 US76009N1000 RENT-A-CENTER INC USD 0.93%
44 US8725401090 TJX COMPANIES INC USD 0.92%
45 KYG040111059 ANTA SPORTS PRODUCTS LTD HKD 0.90%
46 US3029411093 FTI CONSULTING INC USD 0.90%
47 US1220171060 BURLINGTON STORES INC USD 0.90%
48 DE0005313704 CARL ZEISS MEDITEC AG EUR 0.87%
49 SE0007100581 ASSA ABLOY AB CLASS B SEK 0.87%
50 US78709Y1055 SAIA INC USD 0.85% As of 2019-11-29 Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com ISIN Name Currency Weight 51 US0234361089 AMEDISYS INC USD 0.81%
52 US7043261079 PAYCHEX INC USD 0.81%
53 GB00B5BT0K07 AON PLC USD 0.78%
54 US3024913036 FMC CORP USD 0.76%
55 CA87807B1076 TC ENERGY CORP CAD 0.74%
56 US2172041061 COPART INC USD 0.74%
57 US1311931042 CALLAWAY GOLF CO USD 0.72%
58 BMG2113B1081 CHINA RESOURCES GAS GROUP LTD ORD HKD 0.72%
59 AU000000JBH7 JB HI-FI LTD ORD AUD 0.72%
60 US3138551086 FEDERAL SIGNAL CORP USD 0.71%
61 PR30040P1032 EVERTEC INC USD 0.70%
62 US1046741062 BRADY CORPORATION - CL A USD 0.70%
63 US8716071076 SYNOPSYS INC USD 0.68%
64 IT0001250932 HERA SPA EUR 0.64%
65 US45826H1095 INTEGER HOLDINGS CORP USD 0.64%
66 US5184151042 LATTICE SEMICONDUCTOR CORP USD 0.63%
67 US0079031078 ADVANCED MICRO DEVICES USD 0.62%
68 US04247X1028 ARMSTRONG WORLD INDUSTRIES INC USD 0.61%
69 US22160K1051 COSTCO WHOLESALE CORP USD 0.60%
70 CA05577W2004 BRP INC CAD 0.60%
71 US34959E1091 FORTINET INC USD 0.60%
72 DE000UNSE018 UNIPER SE EUR 0.58%
73 BMG7496G1033 RENAISSANCERE HOLDINGS LTD USD 0.58%
74 CH0012032048 ROCHE HOLDING AG CHF 0.56%
75 CA45075E1043 IA FINANCIAL CORP INC CAD 0.55%
76 US3746891072 GIBRALTAR INDUSTRIES INC USD 0.55%
77 US0865161014 BEST BUY CO INC USD 0.55%
78 NL0000395903 WOLTERS KLUWER NV EUR 0.54%
79 US05591B1098 BMC STOCK HOLDINGS INC USD 0.53%
80 US7234841010 PINNACLE WEST CAPITAL CORP USD 0.52%
81 US2036071064 COMMUNITY BANK SYSTEM INC USD 0.52%
82 US71375U1016 PERFICIENT INC USD 0.52%
83 US12541W2098 C H ROBINSON WORLDWIDE INC USD 0.52%
84 DE0008402215 HANNOVER RUCK SE EUR 0.51%
85 US32020R1095 FIRST FINANCIAL BANKSHARES INC USD 0.51%
86 NL0011585146 FERRARI NV EUR 0.50%
87 US4050241003 HAEMONETICS CORP USD 0.49%
88 JP3347200002 SHIONOGI & CO LTD ORD JPY 0.49%
89 US58506Q1094 MEDPACE HOLDINGS INC USD 0.48%
90 US58933Y1055 MERCK & CO. INC. USD 0.46%
91 JP3765400001 HOUSE FOODS GROUP INC JPY 0.45%
92 US4663131039 JABIL INC USD 0.43%
93 SE0008321293 NIBE INDUSTRIE-B SEK 0.42%
94 US6292093050 NMI HOLDINGS INC USD 0.40%
95 JP3937200008 AZBIL (YAMATAKE) CORP ORD JPY 0.39%
96 US6708371033 OGE ENERGY CORP USD 0.39%
97 IT0003128367 ENEL SPA EUR 0.38%
98 DE000A1EWWW0 ADIDAS AG EUR 0.37%
99 US2566771059 DOLLAR GENERAL CORP USD 0.37%
100 US28176E1082 EDWARDS LIFESCIENCES CORP USD 0.37% As of 2019-11-29 Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com ISIN Name Currency Weight 101 NL0000009538 KONINKLIJKE PHILIPS NV EUR 0.37%
102 FI4000074984 VALMET CORP EUR 0.36%
103 KYG5496K1242 LI NING CO LTD HKD 0.35%
104 CA11777Q2099 B2GOLD CORP CAD 0.35%
105 JP3277800003 KEIO (KEIO ELECTRIC RAIL) CORP ORD JPY 0.34%
106 MX01GA000004 GRUPO AEROPORTUARIO DEL PACIFICO SA DE CV MXN 0.33%
107 US5805891091 MCGRATH RENTCORP USD 0.33%
108 MX01OM000018 GRUPO AEROPORTUARIO DEL CENTRO NORTE S A B DE C V MXN 0.29%
109 CH0001503199 BELIMO HOLDING AG CHF 0.29%
110 JP3919200000 MEITEC CORP JPY 0.29%
111 US5763231090 MASTEC INC USD 0.28%
112 US3390411052 FLEETCOR TECHNOLOGIES INC USD 0.28%
113 NL0010273215 ASML HOLDING NV EUR 0.27%
114 US88023U1016 TEMPUR SEALY INTERNATIONAL INC USD 0.27%
115 US7427181091 PROCTER & GAMBLE CO USD 0.27%
116 US66765N1054 NORTHWEST NATURAL GAS CO USD 0.27%
117 GB00B10RZP78 UNILEVER PLC GBP 0.27%
118 US0844231029 WR BERKLEY CORP USD 0.26%
119 US5949181045 MICROSOFT CORP USD 0.26%
120 BE0003790079 BARCO N.V. EUR 0.26%
121 JP3435350008 SONY FINANCIAL HOLDINGS INC ORD JPY 0.26%
122 CH0012280076 STRAUMANN HOLDING AG CHF 0.26%
123 US5526901096 MDU RES GROUP INC USD 0.26%
124 US74144T1088 T ROWE PRICE GROUP INC USD 0.26%
125 US92840M1027 VISTRA ENERGY CORP USD 0.26%
126 CH0038863350 NESTLE SA CHF 0.25%
127 SE0000695876 ALFA LAVAL AB SEK 0.25%
128 CH0012005267 NOVARTIS AG CHF 0.25%
129 US74164M1080 PRIMERICA INC USD 0.25%
130 JP3173400007 OBIC CO LTD ORD JPY 0.25%
131 US1778351056 CITY HOLDING CO USD 0.25%
132 AU000000SHL7 SONIC HEALTHCARE (TECH AUST) ORD AUD 0.25%
133 US2786421030 EBAY INC USD 0.25%
134 US0171751003 ALLEGHANY CORP USD 0.25%
135 US47215P1066 JD.COM INC USD 0.24%
136 US8448951025 SOUTHWEST GAS HOLDINGS INC USD 0.24%
137 CA0089118776 AIR CANADA CAD 0.24%
138 IL0010824113 CHECK POINT SOFTWARE TECH L ORD USD 0.24%
139 GB0004052071 HALMA PLC GBP 0.23%
140 JP3750500005 MCDONALDS HOLDING CO JAPAN ORD JPY 0.22%
141 US4278661081 HERSHEY CO/THE USD 0.22%
142 CA8911021050 TOROMONT INDUSTRIES LTD COM CAD 0.19%
143 US6896481032 OTTER TAIL CORP USD 0.19%
144 US29084Q1004 EMCOR GROUP INC USD 0.18%
145 NZFAPE0001S2 FISHER & PAYKEL HEALTHCARE CORPORATION LIMITED NZD 0.17%
146 CH0225173167 CEMBRA MONEY BANK AG CHF 0.15%
147 FR0000071946 ALTEN LTD EUR 0.14%
148 US2772761019 EASTGROUP PROPERTIES INC USD 0.14%
149 BMG475671050 IHS MARKIT LTD USD 0.14%
150 US76680R2067 RINGCENTRAL INC USD 0.13% As of 2019-11-29 Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com ISIN Name Currency Weight 151 US2533931026 DICKS SPORTING GOODS INC USD 0.13%
152 US0255371017 AMERICAN ELECTRIC POWER USD 0.13%
153 US2547091080 DISCOVER FINANCIAL SERVICES USD 0.13%
154 US1720621010 CINCINNATI FINANCIAL CORP USD 0.13%
155 US37959E1029 GLOBE LIFE INC USD 0.13%
156 DE0007037129 RWE AG EUR 0.13%
157 US92343V1044 VERIZON COMMUNICATIONS INC USD 0.13%
158 US9182041080 VF CORP USD 0.13%
159 US1152361010 BROWN & BROWN INC USD 0.13%
160 US6153691059 MOODYS CORP USD 0.13%
161 US4165151048 HARTFORD FINANCIAL SERVICES GROUP INC USD 0.13%
162 US70438V1061 PAYLOCITY HOLDING CORP USD 0.13%
163 US3167731005 FIFTH THIRD BANCORP USD 0.13%
164 AU000000COH5 COCHLEAR LTD AUD 0.13%
165 US6819191064 OMNICOM GROUP USD 0.13%
166 US3030751057 FACTSET RESEARCH SYSTEMS INC USD 0.13%
167 US29978A1043 EVERBRIDGE INC USD 0.13%
168 US64049M2098 NEOGENOMICS INC USD 0.13%
169 US45765U1034 INSIGHT ENTERPRISES INC USD 0.13%
170 US5779331041 MAXIMUS INC USD 0.13%
171 US2521311074 DEXCOM INC USD 0.13%
172 US70432V1026 PAYCOM SOFTWARE INC USD 0.12%
173 US92763W1036 VIPSHOP HOLDINGS LTD USD 0.12%
174 CA70137T1057 PARKLAND FUEL CORP CAD 0.12%
175 AU000000AZJ1 AURIZON HOLDINGS LTD AUD 0.12%
176 ZAE000042164 MTN GROUP LTD ZAR 0.12%
177 CA8667961053 SUN LIFE FINANCIAL INC CAD 0.12%
178 US8740541094 TAKE-TWO INTERACTIVE SOFTWRE USD 0.12%
179 GB00B082RF11 RENTOKIL INITIAL PLC GBP 0.12%
180 CA6665111002 NORTHLAND POWER INC CAD 0.12%
181 AU000000BPT9 BEACH ENERGY (BEACH PETROLEUM) ORD AUD 0.12%
182 US6937181088 PACCAR INC USD 0.11%
183 US4433201062 HUB GROUP INC. CLASS A USD 0.11%
184 US45768S1050 INNOSPEC INC USD 0.10%
185 US30214U1025 EXPONENT INC USD 0.09%
186 CA87241L1094 TFI INTERNATIONAL INC CAD 0.07%
187 US25960R1059 DOUGLAS DYNAMICS INC USD 0.07%
188 GB00B012BV22 MARSHALLS PLC GBP 0.07%
189 FR0000130650 DASSAULT SYSTEMES SA EUR 0.06%
190 US4989042001 KNOLL INC USD 0.06%
191 US74386T1051 PROVIDENT FINANCIAL SERVICES INC USD 0.05%
192 AU000000NAN9 NANOSONICS LTD AUD 0.05%
193 US0028241000 ABBOTT LABORATORIES USD 0.05%
194 US55277P1049 MGE ENERGY INC USD 0.04%
195 US6287781024 NBT BANCORP INC USD 0.03%
196 DE000SLA2FD2 SOLACTIVE FED FUNDS EFFECTIVE RATE TOTAL RETURN INDEX USD 5.02%
As of 2019-11-29 Monthly Factsheet | February 2020 Arabesque Asset Management Ltd Arabesque Systematic Index (USD) 43 Grosvenor Street Zeppelinallee 15 London W1K 3HL 60325 Frankfurt DE000SLA1YZ8 AISYG1US Index [email protected] www.arabesque.com
Disclaimer:
Arabesque is the trading name of Arabesque Asset Management Ltd (together with its affiliates, “Arabesque”), a limited liability company registered in England and Wales at 43 Grosvenor Street, London, W1K 3HL (no. 8636689), authorized and regulated by the FCA (no. 610729), and registered as a registered investment adviser with the SEC (#801-107600). It also operates through its German branch, Arabesque Asset Management Ltd (Germany), a company registered at Zeppelinallee 15, 60325 Frankfurt am Main, Germany in the commercial register of the local court in Frankfurt am Main (no. HRB 103816), and supervised by the BaFin (ID: 144965). This document is provided on a confidential basis by Arabesque in its capacity as fund manager, and is for information purposes only, and is not a solicitation or an offer to buy any security or instrument or to participate in any trading, for those persons who meet the qualifications to be investors in any fund (a “Fund”) managed by Arabesque. NOT AN OFFER. This document does not constitute an offer to sell or solicitation to purchase any shares in any Fund to any person, and shall not be construed as a recommendation or advice on the merits of investing in the Fund. Prior to any purchase of an interest or shares in the Fund, investors should reference the Fund’s confidential offering memorandum (the “Sales Prospectus”), the key investor information documents, and the subscription documents (all of which are available free of charge by contacting the Registrar and Transfer Agent at 4, rue Thomas Edison, L-1445 Luxembourg-Strassen, Grand Duchy of Luxembourg or by contacting the relevant local agent of the Fund in their jurisdiction, if applicable), which together contain all the material terms of such an investment, including discussions of certain specific risk factors, conflicts of interest, tax considerations, fees, and other matters relevant to prospective investors in the Fund. All information stated herein is subject to and expressly qualified in all respect by the Sales Prospectus and key investor information documents. Swiss investors can obtain these documents from the Representative in Switzerland: IPConcept (Switzerland) AG, In Gassen 6, Postfach, CH-8022 Zurich, or from the Paying Agent in Switzerland: DZ PRIVATBANK (Switzerland) AG, Münsterhof 12, CH-8022 Zürich. The jurisdiction for Swiss investors is the office of the Representative in Zurich. FORWARD LOOKING STATEMENTS. Certain information contained herein constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives thereof, or other variations thereon, or comparable terminology. Owing to various risks and uncertainties, actual events or results or the actual performance of the Fund may differ materially from those reflected or contemplated in such forward-looking statements. CALCULATIONS. Cumulative and annualized returns are shown. Cumulative returns represent the amount, including all interest or dividends and capital gains received on an investment over a period, usually expressed as a percentage of the amount invested. Annualized returns represent the increase in value of an investment, expressed as a percentage per year. Returns for less than one year have not been annualized. THIRD PARTY INFORMATION. Certain information contained in this document has been obtained from sources outside Arabesque. While such information is believed to be reliable for the purposes used herein, no representations are made as to the accuracy or completeness thereof and none of Arabesque its affiliates or any Fund takes any responsibility for such information. BACKTESTS. The backtesting of performance differs from actual account performance because an investment strategy may be adjusted at any time, for any reason, and can continue to be changed until desired or better performance results are achieved. The backtested results assume ordinary income and capital gains distributions are reinvested, periodic rebalancing, and no income taxes. INDEXES. There may be significant differences between the Fund’s investments and the indexes referenced herein. For instance, the Fund may use leverage and invest in securities that have a greater degree of risk and volatility, as well as less liquidity, than those securities contained in such indexes. Fund investors may also be subject to a lock-up which further limits the Fund investor’s liquidity relative to an investment in one or more of the securities comprising any index. It should not be assumed that the Fund will invest (or has invested) in any specific investments that comprise any index, nor should it be understood to mean that there is a correlation between the Fund’s returns and the returns of any index. Past performance of the Fund relative to any index should not be indicative of future performance relative to that index. The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets and consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. PERFORMANCE. To the extent this document includes information related to performance, it is intended to provide a qualitative description of certain of the key investment themes, events, and developments that contributed to the overall performance of the Fund, along with a picture of the overall exposure of the Fund. Such examples are meant to provide insight with respect to each investment and, to the extent applicable, the Fund’s objectives and the investment processes and analyses used to evaluate such investments. Other investments, themes, events, developments, and/or other factors not described herein may have had (and continue to have) a significant impact on the Fund’s overall performance. RISK FACTORS. Individuals. The information contained herein does not take into account the particular investment objectives or financial circumstances of any specific person who may receive it. Timing. The performance figures noted above are for investments made at the inception of the Fund and include the reinvestment of dividends, interest, and other earnings. An individual investor’s actual returns may differ from the results shown above for reasons such as the timing of subscriptions and redemptions. The numbers shown above are not adjusted to reflect any capital inflows or outflows that may have occurred on or after the last day of the month. Results for the current year are subject to revision upon the year-end audit. Past Performance. Past performance is not necessarily indicative of future results. Any prior investment results of the Fund or any of its affiliates and any hypothetical information are presented in this document for illustrative purposes only and are not indicative of the future results of the Fund. Anticipated Performance. Actual investment performance could differ materially from the Fund’s anticipated results. Conditions. Economic, market, and other conditions could cause the Fund to alter its investment objectives, guidelines, and restrictions. It should not be assumed that the Fund will continue to invest in any of the investments described herein or that such investments will be available in the future. Degree. An investment in the Fund may be illiquid and involve a high degree of risk. Investments should be considered only by investors who can withstand the loss of all or a substantial part of their investments. Profitability. It should not be assumed any investments described herein will ultimately be profitable. No guarantees. No assurance, guarantee, or representation is made that the Fund’s investment programs, including, without limitation, the Fund’s investment objectives, profits, diversification strategies, or risk monitoring goals will be achieved or successful, or that substantial losses will not be incurred, or that the assumptions regarding future events and situations will materialize or prove correct. Variation. Investment results may vary substantially over time. Risk level. Nothing herein is intended to imply that the Fund’s investment methodology may be considered "conservative", "safe", "risk free", or "risk averse". RELIANCE. Neither Arabesque nor any Fund makes any representation or warranty, express or implied, as to the accuracy or completeness of the information contained herein and nothing contained herein should be relied upon as a promise or representation as to past or future performance of the Fund or any other entity. REGULATIONS. The Fund will only be distributed and shares will only be offered or placed in jurisdictions to the extent that it may be lawfully distributed and the shares may be lawfully offered or placed in those jurisdictions (including at the initiative of the investor). It is the responsibility of investors and prospective investors to enquire about the laws and regulations that apply to the purchase and possession of shares in the Fund and consult their own counsel, accountant, or investment adviser in this respect. The Fund is distributed in the EEA pursuant to a passport facilitated under the Directive on undertakings for collective investment in transferable securities (UCITS) no. 2009/65/EC dated 13 July 2009 (UCITS Directive) and more globally on a private placement basis in accordance with all applicable laws and regulations. EEA. This document is intended for professional investors only, as defined by European Directive 2004/39/EC of 21 April 2004 on markets in financial instruments (MiFID) investing for their own account and not for retail distribution. The Fund complies with the requirements of the UCITS Directive. The Fund has been passported in the European Economic Area for sale pursuant to the procedure set out in the UCITS Directive. UK. Investors in the United Kingdom should note that this document is being issued in the United Kingdom by Arabesque Asset Management Ltd and is exempt from the scheme promotion restriction (in Section 238 of the Financial Services and Markets Act 2000) on the communication of invitations or inducements to engage in investment activity on the grounds that it is being issued by an authorised person and issued to and/or directed only at persons who are professional clients or eligible counterparties for the purposes of the FCA’s Conduct of Business Sourcebook. U.S. The Fund is intended to be offered to U.S. investors pursuant to “private offering” exemptions from registration contained in Regulation 506 under the Securities Act of 1933 and Section 3(c)(7) of the Investment Company Act of 1940. CONFIDENTIALITY. This document contains highly confidential information regarding Arabesque’s investments, strategy, and organization. Your acceptance of this document constitutes your agreement to keep confidential all the information contained in this document, as well as any information derived by you from the information contained in this document and not disclose any such information to any other person. This document may not be copied, reproduced, in any way used or disclosed or transmitted, in whole or in part, to any other person. ENQUIRIES. Investors should direct any enquiries they may have in respect of this document to Arabesque Asset Management Ltd, 43 Grosvenor Street, London, W1K 3HL, United Kingdom.
XOT-A-IF-4xi-IFS-I1-00-00 arabesque